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12#
发表于 2011-7-13 13:29
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whystudy Wrote:
-------------------------------------------------------
> When you use apprisal data, the correlation to
> other assets class are biased downwards compared
> to the true correlation, also the true variance of
> the asset is bisased downwards.
>
> can someone explain why the true variance is
> biased downwards?
>
> I thought the true variance should be biased
> upwards since apprisal data somewhat smoothes out
> the volalility.
"true variance.. is BIASED downwards" - this is how I read the statement.
EDIT:
By reading this statement, I interpret it as follows:
Someone smooths out the returns... puts a bias on the actual picture.. we only see how the price is nicely trending up.. so the true variance is biased.. how, you might ask? well, downward.. it was supposed to be way higher than the picture shows..
I think you are misinterpreting what you are reading...
Edited 1 time(s). Last edit at Tuesday, June 1, 2010 at 09:26PM by kurmanal. |
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